Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 1 2 3
Score -4.8 -3.6 1.8
Market Cap (Millions USD) 334.45 318.3 356.91
Predicted Beta 0.47 0.48 0.59
Idiosyncratic Volatility 7.46 6.03 8.61

Annualized return and volatility

BBH
Annualized Return 0.1063
Annualized Std Dev 0.2825
Annualized Sharpe (Rf=0%) 0.3763

Row

Daily Return Statistics

BBH
Observations 5112.0000
NAs 2.0000
Minimum -0.1229
Quartile 1 -0.0078
Median 0.0004
Arithmetic Mean 0.0006
Geometric Mean 0.0004
Quartile 3 0.0092
Maximum 0.1005
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0010
Variance 0.0003
Stdev 0.0178
Skewness -0.0772
Kurtosis 4.3477

Downside Risk

BBH
Semi Deviation 0.0127
Gain Deviation 0.0127
Loss Deviation 0.0131
Downside Deviation (MAR=210%) 0.0171
Downside Deviation (Rf=0%) 0.0124
Downside Deviation (0%) 0.0124
Maximum Drawdown 0.7269
Historical VaR (95%) -0.0271
Historical ES (95%) -0.0420
Modified VaR (95%) -0.0275
Modified ES (95%) -0.0440
From Trough To Depth Length To Trough Recovery
2000-03-06 2002-07-10 2010-03-09 -0.7269 2562 598 1964
2015-07-21 2016-02-08 2019-12-20 -0.3376 1133 143 990
2014-02-25 2014-04-11 2014-08-26 -0.2200 130 35 95
2010-03-23 2010-05-26 2011-04-11 -0.1968 270 47 223
2011-07-05 2011-08-10 2011-10-27 -0.1837 83 27 56

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec BBH
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 3.2 4.9 0.0 5.6 3.4 0.0 5.0 0.2 0.0 4.0 3.3 0.0 33.6
2001 -2.6 -0.9 0.0 0.6 2.9 0.0 0.0 0.0 1.4 1.7 0.0 0.0 3.1
2002 2.3 1.3 1.7 -0.7 0.0 -7.5 -4.4 0.0 3.7 1.1 0.0 0.0 -2.9
2003 0.0 0.0 1.0 1.2 0.0 0.0 -1.8 0.0 1.2 0.0 2.2 0.0 3.7
2004 0.0 0.1 1.9 0.0 0.5 -1.0 0.0 1.1 1.6 -0.2 1.4 0.0 5.6
2005 0.7 1.0 -1.0 0.0 1.6 0.6 1.9 1.3 0.0 0.1 1.7 0.0 8.1
2006 1.8 -0.1 0.0 -1.0 0.8 0.0 -0.4 0.5 0.0 -1.1 -0.4 0.0 0.1
2007 0.8 -1.8 0.0 1.7 0.3 0.0 -0.7 0.0 0.7 -1.6 0.0 0.0 -0.8
2008 1.1 0.0 1.8 1.5 0.0 2.1 -3.0 0.0 -1.1 0.0 -5.1 0.0 -3.0
2009 0.0 0.0 -2.2 -1.4 -0.1 0.1 0.0 -1.0 -2.2 0.0 1.0 0.0 -5.6
2010 -0.2 0.9 1.0 0.0 -1.4 -1.1 0.0 2.9 0.5 0.3 1.4 0.0 4.3
2011 0.6 0.2 -0.3 0.0 -1.4 0.7 -1.2 -0.8 0.0 -2.3 0.4 0.0 -4.0
2012 2.1 0.9 0.0 -0.4 -2.7 0.0 -1.2 0.0 0.8 1.4 0.0 0.0 0.8
2013 1.7 1.1 -0.3 -1.1 0.0 4.4 1.6 0.0 1.6 0.8 0.0 0.0 10.0
2014 0.0 0.0 2.6 0.9 0.0 2.4 -0.5 0.0 -1.4 0.0 -0.6 0.0 3.2
2015 0.0 0.0 -1.2 2.9 -0.3 0.4 0.0 -2.7 1.0 0.0 0.5 0.0 0.5
2016 0.7 4.1 2.5 0.0 0.2 2.0 1.9 0.1 0.0 1.0 -1.6 0.0 11.3
2017 1.2 0.5 0.0 0.5 1.5 0.0 -0.5 0.6 0.0 -0.1 0.0 0.0 3.6
2018 0.0 -1.6 0.0 0.1 1.6 0.0 0.8 0.0 -0.7 3.3 0.0 0.0 3.4
2019 0.4 1.5 0.7 -0.9 0.0 0.7 0.6 0.0 -1.5 2.7 0.0 0.1 4.4

Row

Rolling Performance Chart

Snail Trail Chart